Автор: Николай Камынин
Данная система исключительно для индекса РТС.
Результат за 2011 год.
Тайм 5 минут.
Реинвестирования нет.
Плеча нет.
проведена оптимизация параметров ( период для МА) на всем интервале наблюдения.
Вариант 1: Стопов нет.
All trades Long trades Short trades
Net Profit % 137.28 % 54.50 % 82.78 %
Exposure % 73.72 % 35.16 % 38.56 %
Net Risk Adjusted Return % 186.22 % 155.00 % 214.68 %
Annual Return % 244.45 % 86.39 % 137.09 %
Risk Adjusted Return % 331.61 % 245.71 % 355.54 %
All trades 73 37 (50.68 %) 36 (49.32 %)
Avg. Profit/Loss % 1.90 % 1.49 % 2.32 %
Avg. Bars Held 393.08 361.03 426.03
Winners 54 (73.97 %) 25 (34.25 %) 29 (39.73 %)
Avg. Profit % 3.07 % 2.72 % 3.38 %
Avg. Bars Held 410.63 407.52 413.31
Max. Consecutive 16 8 9
Largest win 2294749.83 841589.79 2294749.83
# bars in largest win 1579 1282 1579
Losers 19 (26.03 %) 12 (16.44 %) 7 (9.59 %)
Avg. Loss % -1.43 % -1.08 % -2.03 %
Avg. Bars Held 343.21 264.17 478.71
Max. Consecutive 3 3 1
Largest loss -539500.19 -539500.19 -343440.20
# bars in largest loss 992 992 942
Max. trade % drawdown -9.04 % -9.04 % -6.48 %
Max. system % drawdown -7.62 % -7.95 % -7.09 %
Recovery Factor 13.36 5.61 9.40
CAR/MaxDD 32.08 10.86 19.34
RAR/MaxDD 43.51 30.89 50.16
Profit Factor 6.12 5.25 6.91
Payoff Ratio 2.15 2.52 1.67
Risk-Reward Ratio 13.36 15.03 10.93
Ulcer Index 2.12 1.89 2.02
Ulcer Performance Index 112.80 42.82 65.09
Sharpe Ratio of trades 4.78 5.86 4.53
K-Ratio 0.0158 0.0178 0.0129
Вариант 2: Стоп.Таке profit 9%
All trades Long trades Short trades
Net Profit % 143.11 % 54.70 % 88.41 %
Exposure % 72.88 % 34.89 % 37.99 %
Net Risk Adjusted Return % 196.36 % 156.76 % 232.73 %
Annual Return % 256.63 % 86.74 % 147.61 %
Risk Adjusted Return % 352.12 % 248.57 % 388.58 %
All trades 80 38 (47.50 %) 42 (52.50 %)
Avg. Profit/Loss % 1.81 % 1.45 % 2.13 %
Avg. Bars Held 358.69 351.53 365.17
Winners 57 (71.25 %) 25 (31.25 %) 32 (40.00 %)
Total Profit 17248832.78 6856280.00 10392552.79
Avg. Profit 302611.10 274251.20 324767.27
Avg. Profit % 3.06 % 2.77 % 3.28 %
Avg. Bars Held 378.37 401.56 360.25
Max. Consecutive 10 5 9
Largest win 899099.81 894239.79 899099.81
# bars in largest win 1000 882 1000
Losers 23 (28.75 %) 13 (16.25 %) 10 (12.50 %)
Avg. Loss % -1.29 % -1.08 % -1.57 %
Avg. Bars Held 309.91 255.31 380.90
Max. Consecutive 3 3 1
Largest loss -539500.19 -539500.19 -343440.20
# bars in largest loss 992 992 942
Max. trade % drawdown -9.04 % -9.04 % -8.53 %
Max. system % drawdown -7.56 % -7.95 % -7.03 %
Recovery Factor 13.93 5.63 9.67
CAR/MaxDD 33.95 10.90 21.01
RAR/MaxDD 46.59 31.25 55.31
Profit Factor 5.87 4.95 6.70
Payoff Ratio 2.37 2.57 2.09
Standard Error 1256547.86 476501.96 868863.38
Risk-Reward Ratio 13.15 14.96 10.82
Ulcer Index 2.12 1.89 2.02
Ulcer Performance Index 118.78 43.04 70.41
Sharpe Ratio of trades 5.92 5.63 6.23
K-Ratio 0.0156 0.0177 0.0128
Результат оптимизации. 3D график. без стопа и с TakeProfit.
без стопа
TakeProfit =9%.
